Performance Reporting

Trust provides comprehensive performance information that, for many registered investment advisors, eliminates the need to license and maintain third-party performance software.

Trust offers returns calculated using the Time Weighted Return (TWR) method. The returns are reported at the client and model levels. At the model level, returns are also provided using both aggregate and composite methods.

Online Performance Reporting

All performance information is available online for advisors. Account level performance can be viewed for an individual or grouping of accounts for any monthly range of dates. You can also view a model-level aggregate TWR over any monthly date range for a group of accounts, or your entire account base.

Client-level and model-level aggregate returns are presented graphically over time and in summary. The raw data used for the graph is also available for quick viewing.

Model-level composite TWR is available by month and includes detailed statistics and inclusion/exclusion information

Performance Reporting for Clients

At your option, client-level TWR information can be provided to clients online and on their statements.

Online, they can view the same graphical and summary information as you. They can also view the return results over any monthly date range.

On client statements, client-level TWR can be reported for six predefined periods – such as prior quarter, prior year, year to date, etc. – back to an account’s inception. You can also choose to include model-level performance and choose if your returns should be on a cumulative or annualized basis.

Model-level Aggregate TWR

At the model level, the aggregate TWR sums account values and cash flows, and then uses the sums for inputs in the calculation of returns. When looking at the model-level performance for a group of accounts or your entire account base, the accounts are essentially combined to create one large portfolio.

Aggregate TWR allows you to view the performance of a model at predefined or custom periods of one month or more. When viewing the aggregate performance, you receive both cumulative and annualized returns. Graphs of performance over time and the supporting data are also provided.

When viewing the model-performance for a group of accounts you can limit calculations to only include accounts active on the beginning and ending dates of the period you choose.

Model-level Composite TWR

The model-level composite TWR calculation sums selected accounts’ value weighted returns, and then divides the sum by the total value of the selected accounts.

Since calculating a composite return for a model requires you only include accounts that you have discretion over for the entire month, Trust provides account exclusion technology and model closure tracking to easily identify when discretion is lost or gained.

The composite TWR functionality provides access to summarized composite information including beginning, ending, averaged daily values, net cash flows, and fee cash flows. It provides access to additional statistical information such as average, median, standard deviation, highs, and lows. Account termination dates and outliers are also easily identifiable.

To assist with audits, you can view individual performance and a list of accounts that were included/excluded and your memos explaining why the action was taken. Calculations can be locked down so subsequent account-level corrections do not affect the composite performance reported for the time period.

Historical Performance Integration

When you first convert to Trust, your prior investment performance can be captured by providing market values and cash flows from your previous custodian.

Calculation Options

Trust performance reporting allows you to choose among the following options:

• Select if the calculation of returns go back to the first cash flow, the first day of the month following the first cash flow, or the first day of the month following a quarter end.
• Decide if the calculations treat both your management and the custody fees as cash flows or as changes in market value. You can also select to have your management fees treated as changes in market value and the custody fees treated as cash flows.
• Choose to include or exclude non-managed assets.

TWR Standard Reports

Methodology

All aggregate and composite calculations use GIPS-accepted methods for calculating composite return based on the transactions in the client accounts. Advisors may be able to use these numbers to create a GIPS compliant reporting package for their clients.

Trust uses Time Weighted Return (TWR) to report performance. The time weighted rate of return excludes external cash flows to isolate investment returns to best reflect a firm’s ability to manage the portfolio’s assets. We use the Modified Dietz Method where cash flows are weighted by the amount and length of time they are invested during the month. The monthly portfolio returns are then geometrically linked to arrive at a quarterly, annual or any defined period return. Starting in 2010, Trust will value the portfolio at the time of each cash flow, making the calculation an even more accurate reflection of the performance in the account.

TWR provides a direct measure of the investment manager’s skill. Since an advisor cannot control cash flows nor control the total amount invested by an investor, the TWR calculation removes the effect of cash flows when calculating a return. It also shows the investor how well their money was managed, whether the portfolio was worth $1,000 or $1,000,000.